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10 changed files with 50 additions and 203 deletions
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8
KLHZ.Trader.Core.Contracts/Declisions/Dtos/CachedValue.cs
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@ -1,8 +0,0 @@
namespace KLHZ.Trader.Core.Contracts.Declisions.Dtos
{
public class CachedValue
{
public DateTime Time { get; init; }
public decimal Value { get; init; }
}
}

10
KLHZ.Trader.Core.Contracts/Declisions/Dtos/Enums/TimeWindowCacheType.cs
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@ -1,10 +0,0 @@
namespace KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums
{
public enum TimeWindowCacheType
{
None = 0,
_1_Minute = 1,
_2_Minutes = 2,
_15_Minutes = 15,
}
}

8
KLHZ.Trader.Core.Contracts/Declisions/Interfaces/IPriceHistoryCacheUnit.cs
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@ -1,6 +1,4 @@
using KLHZ.Trader.Core.Contracts.Declisions.Dtos; using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
namespace KLHZ.Trader.Core.Contracts.Declisions.Interfaces namespace KLHZ.Trader.Core.Contracts.Declisions.Interfaces
{ {
@ -13,10 +11,6 @@ namespace KLHZ.Trader.Core.Contracts.Declisions.Interfaces
public ValueTask<(DateTime[] timestamps, decimal[] prices, bool isFullIntervalExists)> GetData(TimeSpan period); public ValueTask<(DateTime[] timestamps, decimal[] prices, bool isFullIntervalExists)> GetData(TimeSpan period);
public ValueTask AddOrderbook(IOrderbook orderbook); public ValueTask AddOrderbook(IOrderbook orderbook);
public ValueTask AddDataToTimeWindowCache(string key, CachedValue data, TimeWindowCacheType timeWindowCacheType);
public ValueTask<CachedValue[]> GetDataFromTimeWindowCache(string key, TimeWindowCacheType timeWindowCacheType);
/// <summary> /// <summary>
/// Число заявок на продаже в стакане. /// Число заявок на продаже в стакане.
/// </summary> /// </summary>

14
KLHZ.Trader.Core.Math/Declisions/Dtos/CachedValue.cs Normal file
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@ -0,0 +1,14 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace KLHZ.Trader.Core.Math.Declisions.Dtos
{
public class CachedValue
{
public DateTime Time { get; init; }
public decimal Value { get; init; }
}
}

61
KLHZ.Trader.Core.Math/Declisions/Dtos/TimeWindowCacheItem.cs
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@ -1,61 +0,0 @@
using KLHZ.Trader.Core.Contracts.Declisions.Dtos;
using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
namespace KLHZ.Trader.Core.Math.Declisions.Dtos
{
internal class TimeWindowCacheItem
{
private readonly object _locker = new();
private readonly LinkedList<CachedValue> _cachedValues = new();
public readonly TimeSpan WindowSize;
public readonly string Key;
public TimeWindowCacheItem(string key, TimeWindowCacheType window)
{
Key = key;
WindowSize = GetTimeSpan(window);
}
public ValueTask AddData(CachedValue cachedValue)
{
lock (_locker)
{
_cachedValues.AddLast(cachedValue);
if (_cachedValues.Last != null && _cachedValues.First != null
&& _cachedValues.Last.Value.Time - _cachedValues.First.Value.Time > WindowSize)
{
_cachedValues.RemoveFirst();
}
}
return ValueTask.CompletedTask;
}
public ValueTask<CachedValue[]> GetValues()
{
lock (_locker)
{
return ValueTask.FromResult(_cachedValues.ToArray());
}
}
private static TimeSpan GetTimeSpan(TimeWindowCacheType type)
{
switch (type)
{
case TimeWindowCacheType._2_Minutes:
{
return TimeSpan.FromMinutes(2);
}
case TimeWindowCacheType._15_Minutes:
{
return TimeSpan.FromMinutes(15);
}
default:
{
return TimeSpan.FromMinutes(1);
}
}
}
}
}

45
KLHZ.Trader.Core.Math/Declisions/Services/Cache/PriceHistoryCacheUnit2.cs
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@ -1,6 +1,4 @@
using KLHZ.Trader.Core.Contracts.Declisions.Dtos; using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces; using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
using KLHZ.Trader.Core.Math.Declisions.Dtos; using KLHZ.Trader.Core.Math.Declisions.Dtos;
using System.Collections.Concurrent; using System.Collections.Concurrent;
@ -50,9 +48,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
private readonly object _locker = new(); private readonly object _locker = new();
private readonly decimal[] Prices = new decimal[_arrayMaxLength]; private readonly decimal[] Prices = new decimal[_arrayMaxLength];
private readonly DateTime[] Timestamps = new DateTime[_arrayMaxLength]; private readonly DateTime[] Timestamps = new DateTime[_arrayMaxLength];
private readonly ConcurrentDictionary<string, TimeWindowCacheItem> _1_minTimeWindows = new(); private readonly ConcurrentDictionary<string, LinkedList<CachedValue>> TimeWindows = new();
private readonly ConcurrentDictionary<string, TimeWindowCacheItem> _2_minTimeWindows = new();
private readonly ConcurrentDictionary<string, TimeWindowCacheItem> _15_minTimeWindows = new();
private int _length = 0; private int _length = 0;
private int _pointer = -1; private int _pointer = -1;
@ -60,46 +56,11 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
private long _asksCount = 1; private long _asksCount = 1;
private long _bidsCount = 1; private long _bidsCount = 1;
public ValueTask AddDataToTimeWindowCache(string key, CachedValue data, TimeWindowCacheType timeWindowCacheType) public ValueTask AddDataToTimeWindowCache(string key, CachedValue data, TimeSpan window)
{ {
var dict = GetDict(timeWindowCacheType);
if (!dict.TryGetValue(key, out var cahcheItem))
{
dict.TryAdd(key, new TimeWindowCacheItem(key, timeWindowCacheType));
}
dict[key].AddData(data);
return ValueTask.CompletedTask; return ValueTask.CompletedTask;
} }
public ValueTask<CachedValue[]> GetDataFromTimeWindowCache(string key, TimeWindowCacheType timeWindowCacheType)
{
var dict = GetDict(timeWindowCacheType);
if (dict.TryGetValue(key, out var cahcheItem))
{
return cahcheItem.GetValues();
}
return ValueTask.FromResult(Array.Empty<CachedValue>());
}
private ConcurrentDictionary<string, TimeWindowCacheItem> GetDict(TimeWindowCacheType timeWindowCacheType)
{
switch (timeWindowCacheType)
{
case TimeWindowCacheType._2_Minutes:
{
return _2_minTimeWindows;
}
case TimeWindowCacheType._15_Minutes:
{
return _15_minTimeWindows;
}
default:
{
return _1_minTimeWindows; ;
}
}
}
public ValueTask AddData(INewPrice priceChange) public ValueTask AddData(INewPrice priceChange)
{ {
if (priceChange.Figi != Figi) return ValueTask.CompletedTask; if (priceChange.Figi != Figi) return ValueTask.CompletedTask;

11
KLHZ.Trader.Core/Exchange/Constants.cs
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@ -1,11 +0,0 @@
namespace KLHZ.Trader.Core.Exchange
{
internal static class Constants
{
internal const string _1minCacheKey = "1min";
internal const string BigWindowCrossingAverageProcessor = "Trader_big";
internal const string SmallWindowCrossingAverageProcessor = "Trader_small";
internal const string AreasRelationProcessor = "balancescalc30min";
internal readonly static TimeSpan AreasRelationWindow = TimeSpan.FromMinutes(15);
}
}

64
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -29,9 +29,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
private readonly TraderDataProvider _tradeDataProvider; private readonly TraderDataProvider _tradeDataProvider;
private readonly ILogger<Trader> _logger; private readonly ILogger<Trader> _logger;
private readonly ConcurrentDictionary<string, DateTime> OpeningStops = new(); private readonly ConcurrentDictionary<string, DateTime> OpeningStops = new();
private readonly ConcurrentDictionary<string, DateTime> ClosingStops = new();
private readonly ConcurrentDictionary<string, InstrumentSettings> Leverages = new(); private readonly ConcurrentDictionary<string, InstrumentSettings> Leverages = new();
private readonly string _bigWindowProcessor = nameof(Trader) + "_big";
private readonly string _smallWindowProcessor = nameof(Trader) + "_small";
private readonly decimal _futureComission; private readonly decimal _futureComission;
private readonly decimal _shareComission; private readonly decimal _shareComission;
private readonly decimal _accountCashPart; private readonly decimal _accountCashPart;
@ -73,6 +75,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
private async Task ProcessPrices() private async Task ProcessPrices()
{ {
var buffer = new LinkedList<(DateTime, double)>();
while (await _pricesChannel.Reader.WaitToReadAsync()) while (await _pricesChannel.Reader.WaitToReadAsync())
{ {
var message = await _pricesChannel.Reader.ReadAsync(); var message = await _pricesChannel.Reader.ReadAsync();
@ -88,15 +91,18 @@ namespace KLHZ.Trader.Core.Exchange.Services
{ {
if (message.Figi == "FUTIMOEXF000") if (message.Figi == "FUTIMOEXF000")
{ {
ProcessStops(message, currentTime);
var windowMaxSize = 1000; var windowMaxSize = 1000;
await SellAssetsIfNeed(message); await SellAssetsIfNeed(message);
var data = await _tradeDataProvider.GetData(message.Figi, windowMaxSize); var data = await _tradeDataProvider.GetData(message.Figi, windowMaxSize);
if (data.timestamps.Length <= 1)
{
buffer.Clear();
}
var state = ExchangeScheduler.GetCurrentState(message.Time); var state = ExchangeScheduler.GetCurrentState(message.Time);
await ProcessClearing(data, state, message); await ProcessClearing(data, state, message);
ProcessOpeningStops(message, currentTime);
await ProcessNewPriceIMOEXF(data, state, message, windowMaxSize); await ProcessNewPriceIMOEXF(data, state, message, windowMaxSize, buffer);
} }
} }
catch (Exception ex) catch (Exception ex)
@ -122,8 +128,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
{ {
var profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value, var profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
GetComission(assetType), GetLeverage(message.Figi, asset.Count < 0), asset.Count < 0); GetComission(assetType), GetLeverage(message.Figi, asset.Count < 0), asset.Count < 0);
var stoppingKey = message.Figi + asset.AccountId;
if (message.Time - asset.BoughtAt > TimeSpan.FromMinutes(4) && profit < -66m && !ClosingStops.ContainsKey(stoppingKey)) if (message.Time - asset.BoughtAt > TimeSpan.FromMinutes(4) && profit<-66m)
{ {
await _dataBus.Broadcast(new TradeCommand() await _dataBus.Broadcast(new TradeCommand()
{ {
@ -136,12 +142,10 @@ namespace KLHZ.Trader.Core.Exchange.Services
EnableMargin = false, EnableMargin = false,
}); });
OpeningStops[message.Figi] = DateTime.UtcNow.AddMinutes(10); OpeningStops[message.Figi] = DateTime.UtcNow.AddMinutes(10);
ClosingStops[stoppingKey] = DateTime.UtcNow.AddSeconds(30);
await LogDeclision(DeclisionTradeAction.CloseLong, message, profit); await LogDeclision(DeclisionTradeAction.CloseLong, message, profit);
await LogDeclision(DeclisionTradeAction.CloseLongReal, message, profit);
} }
if (message.Time - asset.BoughtAt > TimeSpan.FromHours(4) && profit > 100 && !ClosingStops.ContainsKey(stoppingKey)) if (message.Time - asset.BoughtAt > TimeSpan.FromHours(4) && profit> 100)
{ {
await _dataBus.Broadcast(new TradeCommand() await _dataBus.Broadcast(new TradeCommand()
{ {
@ -153,9 +157,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
RecomendPrice = null, RecomendPrice = null,
EnableMargin = false, EnableMargin = false,
}); });
ClosingStops[stoppingKey] = DateTime.UtcNow.AddSeconds(30);
await LogDeclision(DeclisionTradeAction.CloseLong, message, profit); await LogDeclision(DeclisionTradeAction.CloseLong, message, profit);
await LogDeclision(DeclisionTradeAction.CloseLongReal, message, profit);
} }
} }
} }
@ -163,7 +165,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
private async Task ProcessNewPriceIMOEXF((DateTime[] timestamps, decimal[] prices) data, private async Task ProcessNewPriceIMOEXF((DateTime[] timestamps, decimal[] prices) data,
ExchangeState state, ExchangeState state,
INewPrice message, int windowMaxSize) INewPrice message, int windowMaxSize, LinkedList<(DateTime time, double val)> areasBuffer)
{ {
var res = TradingEvent.None; var res = TradingEvent.None;
var resultMoveAvFull = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, var resultMoveAvFull = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices,
@ -173,22 +175,21 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (resultMoveAvFull.bigWindowAv != 0) if (resultMoveAvFull.bigWindowAv != 0)
{ {
await LogPrice(message, Constants.BigWindowCrossingAverageProcessor, resultMoveAvFull.bigWindowAv); await LogPrice(message, _bigWindowProcessor, resultMoveAvFull.bigWindowAv);
await LogPrice(message, Constants.SmallWindowCrossingAverageProcessor, resultMoveAvFull.smallWindowAv); await LogPrice(message, _smallWindowProcessor, resultMoveAvFull.smallWindowAv);
} }
var areasRel = -1m; var areasRel = -1m;
if (ShapeAreaCalculator.TryGetAreasRelation(data.timestamps, data.prices, message.Value, Constants.AreasRelationWindow, out var rel)) if (ShapeAreaCalculator.TryGetAreasRelation(data.timestamps, data.prices, message.Value, TimeSpan.FromMinutes(15), out var rel))
{ {
await _tradeDataProvider.AddDataTo1MinuteWindowCache(message.Figi, Constants._1minCacheKey, new Contracts.Declisions.Dtos.CachedValue() areasBuffer.AddLast((message.Time, rel));
if (areasBuffer.Last != null && areasBuffer.First != null
&& areasBuffer.Last.Value.time - areasBuffer.First.Value.time > TimeSpan.FromMinutes(1))
{ {
Time = message.Time, areasBuffer.RemoveFirst();
Value = (decimal)rel }
}); areasRel = (decimal)areasBuffer.Sum(a => a.val) / areasBuffer.Count;
var areas = await _tradeDataProvider.GetDataFrom1MinuteWindowCache(message.Figi, Constants._1minCacheKey); await LogPrice(message, "balancescalc30min", areasRel);
areasRel = (decimal)areas.Sum(a => a.Value) / areas.Length;
await LogPrice(message, Constants.AreasRelationProcessor, areasRel);
} }
if ((res & TradingEvent.UptrendStart) == TradingEvent.UptrendStart if ((res & TradingEvent.UptrendStart) == TradingEvent.UptrendStart
&& !OpeningStops.TryGetValue(message.Figi, out _) && !OpeningStops.TryGetValue(message.Figi, out _)
@ -231,6 +232,10 @@ namespace KLHZ.Trader.Core.Exchange.Services
} }
await LogDeclision(DeclisionTradeAction.OpenLong, message); await LogDeclision(DeclisionTradeAction.OpenLong, message);
} }
//else if (areasRel >=75)
//{
// await LogDeclision(DeclisionTradeAction.OpenShort, message);
//}
} }
if ((res & TradingEvent.UptrendEnd) == TradingEvent.UptrendEnd) if ((res & TradingEvent.UptrendEnd) == TradingEvent.UptrendEnd)
@ -257,10 +262,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value, profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
GetComission(assetType), GetLeverage(message.Figi, asset.Count < 0), asset.Count < 0); GetComission(assetType), GetLeverage(message.Figi, asset.Count < 0), asset.Count < 0);
} }
var stoppingKey = message.Figi + asset.AccountId; if (profit > 0)
if (profit > 0 && !ClosingStops.ContainsKey(stoppingKey))
{ {
ClosingStops[stoppingKey] = DateTime.UtcNow.AddSeconds(30);
await _dataBus.Broadcast(new TradeCommand() await _dataBus.Broadcast(new TradeCommand()
{ {
AccountId = asset.AccountId, AccountId = asset.AccountId,
@ -293,7 +296,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
} }
} }
private void ProcessStops(INewPrice message, DateTime currentTime) private void ProcessOpeningStops(INewPrice message, DateTime currentTime)
{ {
if (OpeningStops.TryGetValue(message.Figi, out var dt)) if (OpeningStops.TryGetValue(message.Figi, out var dt))
{ {
@ -302,13 +305,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
OpeningStops.TryRemove(message.Figi, out _); OpeningStops.TryRemove(message.Figi, out _);
} }
} }
if (ClosingStops.TryGetValue(message.Figi, out var dt2))
{
if (dt2 < currentTime)
{
ClosingStops.TryRemove(message.Figi, out _);
}
}
} }
private async Task LogPrice(INewPrice message, string processor, decimal value) private async Task LogPrice(INewPrice message, string processor, decimal value)

30
KLHZ.Trader.Core/Exchange/Services/TraderDataProvider.cs
View File

@ -1,6 +1,4 @@
using KLHZ.Trader.Core.Contracts.Declisions.Dtos; using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos; using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces; using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
using KLHZ.Trader.Core.DataLayer; using KLHZ.Trader.Core.DataLayer;
@ -10,7 +8,6 @@ using KLHZ.Trader.Core.Exchange.Extentions;
using KLHZ.Trader.Core.Exchange.Models.AssetsAccounting; using KLHZ.Trader.Core.Exchange.Models.AssetsAccounting;
using KLHZ.Trader.Core.Exchange.Models.Configs; using KLHZ.Trader.Core.Exchange.Models.Configs;
using KLHZ.Trader.Core.Math.Declisions.Services.Cache; using KLHZ.Trader.Core.Math.Declisions.Services.Cache;
using KLHZ.Trader.Core.Math.Declisions.Utils;
using Microsoft.EntityFrameworkCore; using Microsoft.EntityFrameworkCore;
using Microsoft.Extensions.Logging; using Microsoft.Extensions.Logging;
using Microsoft.Extensions.Options; using Microsoft.Extensions.Options;
@ -99,25 +96,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
} }
} }
public async ValueTask AddDataTo1MinuteWindowCache(string figi, string key, CachedValue data)
{
if (!_historyCash.TryGetValue(figi, out var unit))
{
unit = new PriceHistoryCacheUnit2(figi);
_historyCash.TryAdd(figi, unit);
}
await _historyCash[figi].AddDataToTimeWindowCache(key, data, TimeWindowCacheType._1_Minute);
}
public ValueTask<CachedValue[]> GetDataFrom1MinuteWindowCache(string figi, string key)
{
if (_historyCash.TryGetValue(figi, out var cahcheItem))
{
return cahcheItem.GetDataFromTimeWindowCache(key, TimeWindowCacheType._1_Minute);
}
return ValueTask.FromResult(Array.Empty<CachedValue>());
}
public async ValueTask AddOrderbook(IOrderbook orderbook) public async ValueTask AddOrderbook(IOrderbook orderbook)
{ {
if (!_historyCash.TryGetValue(orderbook.Figi, out var unit)) if (!_historyCash.TryGetValue(orderbook.Figi, out var unit))
@ -183,12 +161,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
foreach (var price in data) foreach (var price in data)
{ {
await AddData(price); await AddData(price);
var cachedData = await GetData(price.Figi);
if (ShapeAreaCalculator.TryGetAreasRelation(cachedData.timestamps, cachedData.prices, price.Value, Constants.AreasRelationWindow, out var rel))
{
await AddDataTo1MinuteWindowCache(price.Figi, Constants._1minCacheKey, new CachedValue() { Time = price.Time, Value = (decimal)rel });
}
} }
} }

2
KLHZ.Trader.Service/Controllers/PlayController.cs
View File

@ -30,7 +30,7 @@ namespace KLHZ.Trader.Service.Controllers
try try
{ {
var time1 = DateTime.UtcNow.AddDays(-30); var time1 = DateTime.UtcNow.AddDays(-30);
var time2 = DateTime.UtcNow.AddMinutes(18); var time2 = DateTime.UtcNow.AddMinutes(30);
using var context1 = await _dbContextFactory.CreateDbContextAsync(); using var context1 = await _dbContextFactory.CreateDbContextAsync();
context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking; context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
var data = await context1.PriceChanges var data = await context1.PriceChanges